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arXiv · 1112.5571

Algebraic structure of stochastic expansions and efficient simulation

Kurusch Ebrahimi-Fard·Alexander Lundervold·Simon J. A. Malham·Hans Munthe-Kaas·Anke Wiese
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Abstract

We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators. These are approximations that generate strong numerical integration schemes that are more accurate than the corresponding stochastic Taylor approximation, independent of the governing vector fields and to all orders. The sinhlog integrator introduced by Malham & Wiese (2009) is one example. Herein we: show that the natural context to study stochastic integrators and their properties is the convolution shuffle algebra of endomorphisms; establish a new whole class of efficient integrators; and then prove that, within this class, the sinhlog integrator generates the optimal efficient stochastic integrator at all orders.

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Kurusch Ebrahimi-Fard, Alexander Lundervold, Simon J. A. Malham, Hans Munthe-Kaas, Anke Wiese. 2011-12-23. Algebraic structure of stochastic expansions and efficient simulation. https://doi.org/10.1098/rspa.2012.0024

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